(Bloomberg) -- Chris Rokos has reduced risk in his macro hedge fund in response to double-digit losses this month, which could become his second-worst since the start of the money pool.
“We have de-risked following this month’s market price action, and P&L volatility has declined substantially as a result,” Rokos’s London-based investment firm told clients in a letter on Saturday, a copy of which was seen by Bloomberg.
The firm sent the letter in response to a Financial Times story that said the US Securities & Exchange Commission raised concerns over Rokos Capital Management after an outsized bet on US government bonds backfired and forced the hedge fund to hand over large amounts of cash to its banks as collateral. The UK Financial Conduct Authority and the Bank of England declined to comment to the newspaper. A Rokos spokesman declined to comment when contacted by Bloomberg News.
In the letter to clients, Rokos said the firm played no part in the discussions between the two regulators.
“However, we can confirm that throughout this period our unencumbered cash has been, and remains, at healthy levels. There have been no requests for additional initial margin from our counterparties,” the firm said.
Bloomberg reported last year that the investment firm, which already runs about $15.5 billion, was raising extra money because it’s required to post higher margin with counterparties due to the more volatile climate.
Rokos’s macro hedge fund lost 15.3% this month through March 17, which if sustained will mark his second-worst monthly decline. The fund is down about 10% this year after a 51% surge in 2022.
--With assistance from Sagarika Jaisinghani.
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